Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments
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Publication:2051153
DOI10.1007/s10287-021-00387-8OpenAlexW3130445878MaRDI QIDQ2051153
Michelle Bandarra, Vincent Guigues
Publication date: 24 November 2021
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1902.06757
stochastic programmingportfolio selectionstochastic dual dynamic programmingmulticut decomposition algorithm
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